Liu, Jian; Tao, Mengxian; Ma, Chaoqun; Wen, Fenghua - In: International Journal of Information Technology & … 13 (2014) 02, pp. 429-444
We propose a pricing model for convertible bonds based on the utility-indifference method and get access to the empirical results by use of Information Technology. By using the stochastic control theory, the general expression of utility indifference price on convertible bonds is obtained under...